Dynamic relationship between the XRP price and correlation tensor spectra of transaction networks

Abhijit Chakraborty, Tetsuo Hatsuda and Yuichi Ikeda

Physica A: Statistical Mechanics and its Applications, 2024, vol. 639, issue C

Abstract: The emergence of cryptoassets has sparked a paradigm shift in the world of finance and investment, ushering in a new era of digital assets with profound implications for the future of currency and asset management. A recent study showed that during the bubble period around the year, 2018, the price of cryptoasset, XRP has a strong anti correlation with the largest singular values of the correlation tensors obtained from the weekly XRP transaction networks. In this study, we provide a detailed analysis of the method of correlation tensor spectra for XRP transaction networks. We calculate and compare the distribution of the largest singular values of the correlation tensor using the random matrix theory with the largest singular values of the empirical correlation tensor. We investigate the correlation between the XRP price and the largest singular values for a period spanning two years. We also uncover the distinct dependence between the XRP price and the singular values for bubble and non-bubble periods. The significance of the time evolution of singular values is shown by comparison with the evolution of singular values of the reshuffled correlation tensor. Furthermore, we identify a set of driver nodes in the transaction networks that drives the market during the bubble period using singular vectors.

Keywords: Correlation tensor; Singular value decomposition; Singular vector; Cryptoasset (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:639:y:2024:i:c:s037843712400195x

DOI: 10.1016/j.physa.2024.129686

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